Notes and Comments: An approximation of caplet implied volatilities in Gaussian models
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Bibliographic InfoArticle provided by Springer in its journal Decisions in Economics and Finance.
Volume (Year): 28 (2006)
Issue (Month): 2 (02)
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- Flavio Angelini & Stefano Herzel, 2005. "Implied Volatilities of Caps: a Gaussian approach," Quaderni del Dipartimento di Economia, Finanza e Statistica 09/2005, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
- Ho, Thomas S Y & Lee, Sang-bin, 1986. " Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-29, December.
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